A note on the relationship between the variability of the hedge ratio and hedging performance

Donald D. Lien

17 citations0/0 files storedJournal of Futures Markets

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Risk Management in Financial Firms Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

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References

2009Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches 2005The use and abuse of the hedging effectiveness measure 2005A note on the superiority of the OLS hedge ratio 2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract 2007A note on the hedging effectiveness of GARCH models

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2021Volatility spillover among sector equity returns under structural breaks 2015Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches 2011Sudden changes in variance and time varying hedge ratios 2020Financial econometrics, mathematics, statistics, and financial technology: an overall view 2014Evaluating the Effectiveness of Futures Hedging

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